Early warning of systemic risk in global banking: eigen-pair R number for financial contagion and market price-based methods

Table 2 Bootstrapped \(R^{2}\)’s from a regression of the VIX, VSTOXX and TED spread (taken as the last day of every quarter) on the SRIs

Systemic risk measures	VIX	VSTOXX	TED Spread
	(1)	(2)	(3)
\(\lambda ^{max}_{t} CGBS\)	0.119	0.211 \(**\)	0.104
\(\lambda ^{max}_{t} CGBS\)	(0.080)	(0.103)	(0.108)
\(\lambda ^{max}_{t-1} CGBS\)	0.055	0.113	0.200
\(\lambda ^{max}_{t-1} CGBS\)	(0.055)	(0.086)	(0.124)
\(\lambda ^{max}_{t-2} CGBS\)	0.035	0.079	0.242 \(**\)
\(\lambda ^{max}_{t-2} CGBS\)	(0.041)	(0.072)	(0.134)
\(DCC-MES_{t}\)	0.820 \(***\)	0.828\(***\)	0.273\(*\)
\(DCC-MES_{t}\)	(0.060)	(0.056)	(0.184)
\(DCC-MES_{t-1}\)	0.370\(***\)	0.333\(*\)	0.036
\(DCC-MES_{t-1}\)	(0.194)	(0.193)	(0.060)
\(DCC-MES_{t-2}\)	0.147\(*\)	0.147\(*\)	0.033
\(DCC-MES_{t-2}\)	(0.136)	(0.129)	(0.049)
\(DCC-\Delta CoVaR_{t}\)	0.784 \(***\)	0.720\(***\)	0.152\(*\)
\(DCC-\Delta CoVaR_{t}\)	(0.063)	(0.078)	(0.091)
\(DCC-\Delta CoVaR_{t-1}\)	0.294\(**\)	0.265\(**\)	0.026
\(DCC-\Delta CoVaR_{t-1}\)	(0.162)	(0.147)	(0.044)
\(DCC-\Delta CoVaR_{t-2}\)	0.058	0.074	0.025
\(DCC-\Delta CoVaR_{t-2}\)	(0.060)	(0.067)	(0.030)
\(SRISK_{t}\)	0.510 \(***\)	0.646 \(***\)	0.025
\(SRISK_{t}\)	(0.146)	(0.100)	(0.040)
\(SRISK_{t-1}\)	0.133	0.194	0.087
\(SRISK_{t-1}\)	(0.103)	(0.120)	(0.064)
\(SRISK_{t-2}\)	0.018	0.031	0.227 \(***\)
\(SRISK_{t-2}\)	(0.028)	(0.043)	(0.081)

DCC-MES, DCC-\(\Delta \)CoVaR and SRISK are calculated at a 5% tail. Standard errors in parentheses. \(^{*}\)Significance at 10%; \(^{**}\)Significance at 5%; \(^{***}\)Significance at 1%. Own calculations